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一、 |
黃聖志、蘇欣玫、杜國賓 |
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二、 |
丁崇德、陳怡君 |
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三、 |
吳壽進、方文昌 |
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四、 |
陳正佑、洪榮耀、陳俊賢 |
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五、 |
何應欽、王文博、張歐權 |
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THE VALUE AT RISK ANALYSIS OF HEDGE FUND INDEX 黃聖志 淡江大學財務金融研究所博士候選人 淡江大學財金系講師 蘇欣玫 淡江大學財務金融學系博士生 杜國賓 淡江大學財務金融學系碩士生 Sheng-Shih Huang Ph.D. student, Department of Banking and Finance, TamKang University Hsin-Mei Su Ph.D. student, Department of Banking and Finance, TamKang University Kuo-Pin Tu Muster, Graduate Institute of Banking and Finance, TamKang University 摘要 本文採用RiskMetrics模型與GARCH模型及馬可夫轉換模型估算避險基金指數之風險值，並進一步以RiskMetrics模型與GARCH模型及馬可夫轉換模型所估出之風險值進行比較，用以探討何種模型有較佳的預測能力及績效，使投資大眾於面臨風險時，能正確的評估與控管，以避免承擔超過預期的損失。實證結果如下：1、由回溯測試的結果可知，RiskMetrics模型與GARCH模型及馬可夫轉換模型都能有效的估計風險值，風險控管能力均有一定的水準，其中又以馬可夫轉換模型在信心水準99%表現最佳。2、就資金使用效率的角度觀察，馬可夫轉換模型的表現為三模型中最優異的，推斷其原因為馬可夫模型採用馬可夫鍊做為狀態轉換的機制，相較於RiskMetrics模型與GARCH模型，更能夠考慮資料序列前後期狀態與相關訊息，進而對報酬分配有較精確的掌握。3、RiskMetrics模型與GARCH模型及馬可夫轉換模型進行回溯測驗及資金使用效率測驗時發現，穿透次數與均方根誤差存在有抵換關係。 關鍵詞：風險值、RiskMetrics、GARCH |
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ABSTRACT This paper investigates the Value-at-Risk (VaR) of returns on hedge fund index using RiskMetrics model, GARCH model and Markov Switching Model. Furthermore, we compare with Valu-at-Risk (VaR) by RiskMetrics model, GARCH model and Markov Switching Model. The purpose is to find out which of three models has better prediction and performance for investors to evaluate and to take control in order to avoid unexpected lost while minimizing damage. The result of this study shows the following: (1)The back-test shows that the RiskMetrics model, the GARCH model and the Markov Switching Model can estimate Valu-at-Risk (VaR) effectively which proves that the ability to control risk is at good standard. Besides, the empirical results show Markov Switching Model can capture the distribution better than others in 99% confidence level under the back-test. (2)According to the efficiency of capital usage, the Markov Switching Model performs better than either the GARCH model or the RiskMetrics model. We infer that the Markov Switching Model can capture the distribution well resulting from it adopts the transformation mechanism of Markov chain. The Markov chain contains more relative information of time serial data than other models do. (3)All three models have the trade off between the back-test and efficiency of capital usage effectively. Keywords: VaR, RiskMetrics , GARCH |
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THE APPLICATION OF SURVIAL ANALYSIS TO THE DOMESTIC AIRLINE OPERATIONS 丁崇德 長榮大學企業管理學系助理教授 陳怡君 長榮大學企業管理學系碩士 Chung-Te Ting Department of Business Administration, Chang Jung Christian University Yi-Chun Chen Department of Business Administration, Chang Jung Christian University 摘要 國內航空運輸需求量於1997年達最高峰，但在1998年以後，國內航空市場景氣逐漸下滑，高成本的運輸客機成為航空公司的沈重負擔，尤其在近年來台灣地區大量推動公路建設和高鐵的啟用，以及全球經濟不景氣與石油價格高居不下的壓力下，對國內航空產業在營運管理上無疑是一大考驗。本研究選取飛行班次、可售座位數、載客人數、商務航線、休閒航線與高鐵重複航線的起迄地點等變數，探討國內航線之營運，利用存活分析試圖找出影響國內航線營運之存活因素，以供國內航空業管理者改善缺失與未來營運方針之重要參考方向。結果發現，可售座位數、商務航線、與高鐵重複航線的起迄地點為國內航線營運存活之重要影響因素。 關鍵詞：航線營運、存活分析、Cox比例危險模式 |
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ABSTRACT The market demand for domestic aviation in Taiwan reached its peak in 1997 but started to slide down all the way after 1998. High-cost passenger aircrafts became a heavy burden for aviation companies, and the increasing construction of highways, the inauguration of high speed railway as well as the pressure of global recession in recent years all add the challenges to the operation management of domestic aviation industry. The research seeks to find out the survival factors affecting the operation of the domestic airline by utilizing the survival analysis to examine the variables combination of the frequency of flight, available seat, passengers carried, commercial course, recreation course and the repeated course place of the high speed railway and domestic airlines. The result provides an important reference and basis for airline executives to improve deficiency and serves as a future operation direction. The result of study is found that available seat, commercial course and the repeated course place of the high speed railway for the important survival factor to influence domestic airlines. Keywords: Operation of airlines, Survival analysis, Cox proportional hazard model |
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心理距離、夥伴關係成因、特徵與合作程度之研究：以大陸市場買方夥伴關係為例 PSYCHIC DISTANCE, CAUSES FOR CREATION OF PARTNERSHIP, AND ITS FEATURES AND COOPERATIVE DEGREE: AN EMPIRICAL RESEARCH ON BUYER PARTNERSHIP IN CHINA 吳壽進 國立台北大學企業管理系博士生 方文昌 國立台北大學企業管理系教授 Sou-Chin Wu Department of Business Administration National Taipei University Wenchang Fang Department of Business Administration National Taipei University 摘要 本研究將關係行銷之理論延伸至國際化之議題，結合心理距離、夥伴關係成因、特徵探討買方夥伴關係。藉由問卷進行調查現階段台灣企業與大陸當地顧客、經銷通路間之合作關係與程度。回收有效問卷111份，經迴歸分析結果發現：策略重要性是形成大陸買方夥伴關係之主要原因，而心理距離則會負面影響買方夥伴之合作關係。進一步經由層級迴歸分析，策略重要性於心理距離與合作程度之間具有中介效果，特別是台商知覺到大陸市場通路之策略重要性愈高，會降低其心理距離對夥伴合作程度之負面影響；而在大陸買方夥伴關係之發展歷程中，信任、資訊分享對策略重要性與合作程度之間具有中介效果，使得策略重要性對夥伴關係之影響，隨著信任、資訊分享程度愈高，雙方合作程度也將更為緊密。 關鍵詞：心理距離、策略重要性、買方夥伴關係 |
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ABSTRACT This paper examines the factors that are involved in the implementation of the Relationship Marketing theory in international markets. By transferring the RM theory from a domestic to an international context, various factors that may help or impede the development (or establishment) of cross-cultural business relationships have thus emerged. We, therefore, focus on the following analysis: how does “psychic distance” as such cast certain impacts on the forming of buyer partnership in question? Under this consideration comes the second question: what would be other significant elements in creating such partnerships? Finally, what are possible features that help define them? The hypotheses are tested by using data collected from 111 businesses in Taiwan. Our empirical results indicate that strategy importance is the primary cause of the buyer partnership in China, but psychic distance has negative influence on buyer partnership. Furthermore, strategy importance acts as an important mediator between psychic distance and cooperative degree of partnership. Specifically, the negative relationship between psychic distance and cooperative degree of partnership is weakened by strategy importance. Finally, we find that trust and information sharing mediates the influences of antecedent partnership actions (strategy importance) on partnership performance (cooperative degree). Keywords: Psychic distance, Strategy importance, Buyer partnership |
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A STUDY ON THE INVESTOR BEHAVIOR-EVIDENCE FROM THE VIRTUAL STOCK EXCHANGE 陳正佑 國立屏東商業技術學院財務金融系副教授 洪榮耀 國立高雄海洋科技大學運籌管理系助理教授 陳俊賢 國立屏東商業技術學院國際企業所碩士 Cheng-Yu Chen Department of Finance and Banking National Pingtung Institute of Commerce Jung-Yao Hung Department of Logistics Management National Kaohsiung Marine University Chun-Hsien Chen Department of International Business National Pingtung Institute of Commerce 摘要 本研究採用並修正Oehler, Heilmann, Lager, and Oberlander（2003）所提出之「處分係數」及「投資行為係數」，利用寶碩公司虛擬交易所的交易資料來探討投資人的投資行為是否有處分效果與反向策略或動量策略之存在，並考慮不同學生身分別之影響，包括一般大學與技職院校、國立大學與私立大學、財務金融相關科系與非財務金融相關科系、高投資績效與低投資績效。 關鍵詞：行為財務學、處分效果、反向策略、動量策略 |
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ABSTRACT This paper employs and modifies the Oehler, Heilmann, Lager, and Oberlander（2003） model by using the Apex’s Virtual Stock Exchange data to discuss whether the investors of investment games exist the disposition effect and contrarian or momentum strategies. Furthermore, we consider the impact of background of different students groups, such as:university v.s. technical and vocational college, national college v.s. private owned college, finance departments v.s. non-finance departments, high investment performamce v.s. low investment performamce. Empirical results are as follows: First, the whole investors exist the disposition effect and contrarian strategies significantly when ignoring the transaction cost. When considering the transaction cost, the the whole investors exist the disposition effect but not significantly, and exist the contrarian strategies significantly. Second, the background of different students groups have no impact on the empirical results. Keywords: Behavioral finance, Disposition effect, Contrarian strategies, Momentum strategies |
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通用型、分類及次分類供應商評選模式之比較－以台灣電源供應器製造商為研究對象 A STUDY ON THE PERFORMANCE OF SUPPLIER EVALUATION MODELS WITH DIFFERENT CATEGORIZATION SCALES – AN EMPIRICAL STUDY OF TAIWANESE POWER SUPPLY MANUFACTURERS 何應欽 國立中央大學工業管理研究所 王文博 國立中央大學企業管理學系 張歐權 國立中央大學企業管理學系 Ying-Chin Ho Institute of Industrial Management National Central University Wen-Bo Wang Department of Business Administration National Central University Ou-Chuan Chang Department of Business Administration National Central University 摘要 電子產品是由許多不同類別零組件組裝而成。多數電子產品製造商對不同類別零組件的供應商，並不分類評估其績效，也不瞭解不同分類的供應商評量模式對績效評量的影響。另外，雖然多數電子產品製造商有其供應商評量模式，但因非常（甚至完全）仰賴人類專家，而常有穩定性與公正性不佳的問題。本研究以台灣電源供應器製造商與其供應商為研究對象，對本研究所提出之供應商評量模式進行檢驗，並探討不同分類程度的供應商評量模式對績效評量效果的影響。本研究提出一套結合平衡計分卡（Balanced Scorecard，BSC）與Kanji企業計分卡（Kanji Business Scorecard，KBS）的供應商評量模式（吾人稱之為「BSC評量模式」），以解決電源供應器製造商非常（甚至完全）仰賴人類專家的缺點，並補救傳統評量模式不足之處。本研究的結果發現：(1)將供應商分為四個次分類之「BSC評量模式」，其評量績效優於將供應商分為兩個分類之「BSC評量模式」，且更優於不對供應商分類之通用型「BSC評量模式」；(2)次分類之「BSC評量模式」評量績效不僅是最優的，也最接近人類專家的評量績效，此結果也證明本研究所發展的「BSC評量模式」之正確性與有效性；(3)最後，本研究也發現採用與供應商之所屬分類別相應之「BSC評量模式」，其評量效果是優於非相應之「BSC評量模式」。 關鍵詞：供應商評量、供應商分類、Kanji企業計分卡、平衡計分卡 |
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ABSTRACT Power supplies are made up of many components that are supplied by many suppliers. Thus, the success of a power supply manufacturer replies very much on the collaboration and cooperation of its suppliers. As a result, one important issue that arises is how to select good suppliers that a power supply manufacturer can depend on. In practice, many power supply manufacturers have their own evaluation models or methods for this purpose. However, their supplier-evaluation models or methods may not work very well for various reasons, e.g. relying too much on human experts. Furthermore, many power supply manufacturers often apply one evaluation model or method for all categories of suppliers. In other words, the possible benefits of applying different evaluation models or methods to different categories of suppliers have never been investigated. In this paper, we propose a supplier evaluation model that combines the structure and dimensions of Balanced Scorecard (BSC) and the concept of Kanji Business Scorecard (KBS) and we adopt the AHP method to help us build up the evaluation model. We then test the model’s validity and performance on Taiwanese power supply manufacturers. The test result shows that the proposed evaluation model can evaluate suppliers very correctly. We also find that better evaluation results can be obtained if one categorizes the suppliers into smaller categories, then applies evaluation models specifically for these categories. And, the smaller the categories, the better the evaluation results of the evaluation models. Keywords: Supplier evaluation, Supplier categorization, Kanji Business Scorecard (KBS), Balanced Scorecard (BSC) |
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